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Empirical Modeling of Contagion

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  • Mardi Dungey
  • Renee Fry
  • Vance Martin
  • Brenda González-Hermosillo

Abstract

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate testing, endogeneity issues, and structural breaks.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/78.

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Length: 32
Date of creation: 01 May 2004
Date of revision:
Handle: RePEc:imf:imfwpa:04/78

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Keywords: Economic models; contagion; equation; correlation; covariance; equations; dummy variable; probability; pre-crisis; dummy variables; financial crises; statistic; correlations; outlier; heteroscedasticity; statistics; asian crisis; probability models; currency crises; financial contagion; econometrics; outliers; correlation analysis; covariances; normal distribution; autocorrelation; samples; financial crisis; standard deviations; currency crisis; regression equation; standard errors; crisis index; asian financial crisis; standard error; currency depreciation; asian currency crisis; simultaneous equation; forecasting; linear regression; instrumental variables; covariance analysis; systemic risk; missing observations; standard deviation; mathematical statistics; forecasting techniques; vector autoregression; empirical methods; speculative attacks; explanatory power; constant variance; stochastic processes; granger causality; errors in variables; finite sample; normal density; linear regressions; random variable; regression analysis; number of parameters; calibration; sample sizes; sampling distribution; probabilities; asymptotic distribution; equation system; simultaneous equations; sampling; time series; lagrange multiplier tests; statistical significance; stochastic process;

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References

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